Abstract
In this article we study stochastic monotone properties of the deficit at ruin in terms of the increasing convex (concave) order. Also, we conduct comparisons on the extended deficit at ruin in the sense of the usual stochastic order and expectation. Additionally, the increasing convex (concave) order between the deficit at ruin and the amount of every drop in surplus is presented as well.
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The research of the first two authors is supported by National Natural Science Foundation of China (11171278).
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Li, C., Fang, R. & Li, X. Some Aging Properties Involved with Compound Geometric Distributions. Sankhya A 77, 337–350 (2015). https://doi.org/10.1007/s13171-015-0066-7
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DOI: https://doi.org/10.1007/s13171-015-0066-7